It's really hard to answer such a question, no details, no code, and things disappearing mysteriously. However, given that you're newbie and from the description that you have, I will try to give you some tips that will hopefully set you in the right direction.
Firstly, I don't know exactly what you mean by "script", so I will assume you're referring to what is called code-behind. ASP.Net is different from many other web application frameworks in that it is compiled. So you have the front-end of your aspx pages which has a mixture of HTML and ASP server-side controls, and then linked to each aspx page you have an aspx.cs code file for the code-behind.
Now, when you're ready to upload your project to the hosting, you should use the Build => Publish menu. This will compile your project in Release mode. All the aspx.cs pages will be compiled into a dll, so you will not see them among the file that are uploaded to the hosting, and you cannot modify them. The aspx pages are typically not compiled (although you can configure that), so you will see them and you can still modify them.
As for the database connection, when you're writing your code, you typically connect a local database on your computer. You should have the connection string in the web.config file in the root folder of your project. However, the connection string for the hosted database is likely to be different, so make sure you have the correct connection string for the hosted database in the web.config before you upload your code to the hosting.